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Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10008771823

Likelihood-based analysis for dynamic factor models

Jungbacker, Borus; Koopman, Siem Jan - 2008

Persistent link: https://www.econbiz.de/10003645197

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008

Persistent link: https://www.econbiz.de/10003645204

Spline smoothing over difficult regions : a state space approach

Koopman, Siem Jan; Wong, Soon Yip - 2008

Persistent link: https://www.econbiz.de/10003811428

Models with time-varying mean and variance : a robust analysis of US industrial production

Bos, Charles S.; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10003973299

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

Persistent link: https://www.econbiz.de/10003609242

Seasonality with trend and cycle interactions in unobserved components models

Koopman, Siem Jan; Lee, Kai Ming - 2008

Persistent link: https://www.econbiz.de/10003706010

Likelihood functions for state space models with diffuse initial conditions

Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008

Persistent link: https://www.econbiz.de/10003706020

Dynamic factor analysis in the presence of missing data

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003813787

Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007

We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....

Persistent link: https://www.econbiz.de/10011372520